DSGE Model-Based Forecasting
DSGE Model-Based Forecasting
复制标题
DOI：
10.1016/b978-0-444-53683-9.00002-5
复制
发表时间：
2013-01-01
期刊：
影响因子：
--
通讯作者：
Schorfheide, Frank
中科院分区：
文献类型：
--
作者：
Del Negro, Marco;Schorfheide, Frank
动态随机一般均衡（DSGE）模型使用现代宏观经济理论来解释和预测经济周期中总时间序列的同步性，并进行政策分析。我们解释如何使用DSGE模型的所有三个目的-预测，讲故事，和政策实验-和审查他们的预测记录。我们还提供了对Smets和Wouters（2007）模型数据到2011年的预测性能的实时评估，将其与蓝筹和绿皮书预测进行比较，并展示了当我们使用调查中的外部信息（即时预测，利率，长期通胀和产出增长预期）来增加标准观测值时，它是如何变化的。我们探讨了在名义利率零下限约束和反事实利率路径条件下生成预测的方法。最后，我们进行了一个事后的DSGE模型预测的大衰退，并表明，预测从一个版本的Smets-Wouters模型增强金融摩擦和利率利差作为一个可观察的比较以及与蓝筹预测。
Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements of aggregate time series over the business cycle and to perform policy analysis. We explain how to use DSGE models for all three purposes - forecasting, story-telling, and policy experiments - and review their forecasting record. We also provide our own real-time assessment of the forecasting performance of the Smets and Wouters (2007) model data up to 2011, compare it with Blue Chip and Greenbook forecasts, and show how it changes as we augment the standard set of observables with external information from surveys (nowcasts, interest rates, and long-run inflation and output growth expectations). We explore methods of generating forecasts in the presence of a zero-lower-bound constraint on nominal interest rates and conditional on counterfactual interest rate paths. Finally, we perform a post-mortem of DSGE model forecasts of the Great Recession, and show that forecasts from a version of the Smets-Wouters model augmented by financial frictions and with interest rate spreads as an observable compare well with Blue Chip forecasts.